Bruno Feunou : Citation Profile


Are you Bruno Feunou?

Bank of Canada

6

H index

3

i10 index

124

Citations

RESEARCH PRODUCTION:

11

Articles

21

Papers

RESEARCH ACTIVITY:

   8 years (2009 - 2017). See details.
   Cites by year: 15
   Journals where Bruno Feunou has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 16 (11.43 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfe411
   Updated: 2018-06-16    RAS profile: 2018-02-19    
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Relations with other researchers


Works with:

Jahan-Parvar, Mohammad (5)

Christoffersen, Peter (5)

Fontaine, Jean-Sebastien (3)

Chang, Bo Young (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bruno Feunou.

Is cited by:

Stentoft, Lars (19)

Rombouts, Jeroen (10)

Jahan-Parvar, Mohammad (7)

Baruník, Jozef (7)

Kočenda, Evžen (7)

Vacha, Lukas (6)

Ielpo, Florian (5)

Fengler, Matthias (3)

Christoffersen, Peter (3)

Härdle, Wolfgang (3)

Violante, Francesco (3)

Cites to:

Christoffersen, Peter (29)

Bollerslev, Tim (25)

Andersen, Torben (15)

Diebold, Francis (13)

Piazzesi, Monika (12)

Jahan-Parvar, Mohammad (10)

Engle, Robert (10)

Chen, Zhiwu (9)

Wu, Liuren (9)

Cao, Charles (9)

Campbell, John (9)

Main data


Where Bruno Feunou has published?


Journals with more than one article published# docs
Review of Finance3

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada16

Recent works citing Bruno Feunou (2018 and 2017)


YearTitle of citing document
2018Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, Evžen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2017On the Tail Risk Premium in the Oil Market. (2017). Ellwanger, Reinhard. In: Staff Working Papers. RePEc:bca:bocawp:17-46.

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2018Could a Higher Inflation Target Enhance Macroeconomic Stability?. (2018). Mendes, Rhys ; Lepetyuk, Vadym ; Labelle, Nicholas ; Dorich, Jose. In: Staff Working Papers. RePEc:bca:bocawp:18-17.

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2018Could a higher inflation target enhance macroeconomic stability?. (2018). Mendes, Rhys ; Lepetyuk, Vadym ; St-Pierre, Nicholas Labelle ; Dorich, Jose. In: BIS Working Papers. RePEc:bis:biswps:720.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2018Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122.

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2017Scenario generation for long run interest rate risk assessment. (2017). Roussellet, Guillaume ; Engle, Robert ; Siriwardane, Emil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

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2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics. (2017). Liu, Xiaochun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:1-19.

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2017The market price of risk of the variance term structure. (2017). Dotsis, George. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

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2018Monetary policy uncertainty and the market reaction to macroeconomic news. (2018). Stan, Raluca ; Kurov, Alexander . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:127-142.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:39-56.

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2017Market states and the risk-return tradeoff. (2017). Wang, Zijun ; Khan, Moosa M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:314-327.

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2017Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?. (2017). Liu, Xiaochun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:275-293.

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2017Taxonomy of Global Risk, Uncertainty, and Volatility Measures. (2017). Rogers, John ; Jahan-Parvar, Mohammad ; Iacoviello, Matteo ; Beltran, Daniel ; del Giudice, Marius ; Li, Canlin ; Revil, Thiago ; Sun, BO ; Londono, Juan M ; Datta, Deepa Dhume . In: International Finance Discussion Papers. RePEc:fip:fedgif:1216.

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2017Time-Varying Window Length for Correlation Forecasts. (2017). McCurdy, Tom ; Jeon, Yoontae . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:54-:d:122391.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe ; Lalaharison, Hanjarivo . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2017The Term Structure of Systematic and Idiosyncratic Risk. (2017). Hollstein, Fabian ; Simen, Chardin Wese ; Prokopczuk, Marcel. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-618.

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2017Predicting the Equity Market with Option Implied Variables. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Tharann, Bjorn. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-619.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: KIER Working Papers. RePEc:kyo:wpaper:956.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Ielpo, Florian ; Chorro, Christophe ; Lalaharison, Hanjarivo ; Guegan, Dominique. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14022r.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2017Addendum: A Simple Skewed Distribution with Asset Pricing Applications. (2017). Karehnke, Paul ; de Roon, Frans. In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:6:p:2401-2401..

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2018THE TIME-VARYING ASYMMETRY OF EXCHANGE RATE RETURNS: A STOCHASTIC VOLATILITY – STOCHASTIC SKEWNESS MODEL. (2018). Iseringhausen, Martin. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:18/944.

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2017Fourier methods for analyzing piecewise constant volatilities. (2017). Wornowizki, Max ; Meintanis, Simos G ; Fried, Roland . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:101:y:2017:i:3:d:10.1007_s10182-017-0288-1.

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2017GARCH option pricing models with Meixner innovations. (2017). Fengler, Matthias ; Melnikov, Alexander . In: Economics Working Paper Series. RePEc:usg:econwp:2017:02.

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2017Level and slope of volatility smiles in Long-Run Risk Models. (2017). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: SAFE Working Paper Series. RePEc:zbw:safewp:186.

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Works by Bruno Feunou:


YearTitleTypeCited
2009Option Valuation with Conditional Heteroskedasticity and Non-Normality In: CREATES Research Papers.
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paper46
2009Option Valuation with Conditional Heteroskedasticity and Non-Normality.(2009) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 46
paper
2010Option Valuation with Conditional Heteroskedasticity and Nonnormality.(2010) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 46
article
2014Option Valuation with Observable Volatility and Jump Dynamics In: CREATES Research Papers.
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paper2
2015Option Valuation with Observable Volatility and Jump Dynamics.(2015) In: Staff Working Papers.
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This paper has another version. Agregated cites: 2
paper
2015Option valuation with observable volatility and jump dynamics.(2015) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 2
article
2014Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility In: Bank of Canada Review.
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article1
2009Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness In: Staff Working Papers.
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paper0
2011A Stochastic Volatility Model with Conditional Skewness In: Staff Working Papers.
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paper9
2012A Stochastic Volatility Model With Conditional Skewness*.(2012) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 9
article
2012Risk Premium, Variance Premium and the Maturity Structure of Uncertainty In: Staff Working Papers.
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paper8
2011Risk premium, variance premium and the maturity structure of uncertainty.(2011) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 8
paper
2014Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty.(2014) In: Review of Finance.
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This paper has another version. Agregated cites: 8
article
2012The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation In: Staff Working Papers.
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paper19
2014The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation.(2014) In: Journal of Financial and Quantitative Analysis.
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This paper has another version. Agregated cites: 19
article
2012Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields In: Staff Working Papers.
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paper2
2013Which Parametric Model for Conditional Skewness? In: Staff Working Papers.
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paper2
2016Which parametric model for conditional skewness?.(2016) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 2
article
2013Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility In: Staff Working Papers.
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paper6
2014Bond Risk Premia and Gaussian Term Structure Models In: Staff Working Papers.
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paper0
2015Fourier Inversion Formulas for Multiple-Asset Option Pricing In: Staff Working Papers.
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2015Fourier inversion formulas for multiple-asset option pricing.(2015) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has another version. Agregated cites: 0
article
2015Downside Variance Risk Premium In: Staff Working Papers.
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paper4
2015Downside Variance Risk Premium.(2015) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 4
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2015Tractable Term-Structure Models and the Zero Lower Bound In: Staff Working Papers.
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paper2
2016Time-Varying Crash Risk: The Role of Stock Market Liquidity In: Staff Working Papers.
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2017Good Volatility, Bad Volatility and Option Pricing In: Staff Working Papers.
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2017Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models In: Staff Working Papers.
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2017Variance Premium, Downside Risk and Expected Stock Returns In: Staff Working Papers.
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2017Implied volatility and skewness surface In: Review of Derivatives Research.
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article1
2013Modeling Market Downside Volatility In: Review of Finance.
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article20
2014Non-Markov Gaussian Term Structure Models: The Case of Inflation In: Review of Finance.
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article0

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